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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 95.6 98.9 100.2 101.3 102.2 * -
Weighted Avg. Price 95.4 98.9 100.2 101.3 102.2 * -
Avg. Price Bottom 5 Trades 92.1 98.9 100.2 101.2 102.2 * -
2nd Quartile Price 94.8 98.9 100.2 101.3 102.2 * -
3rd Quartile Price 96.5 98.9 100.2 101.3 102.2 * -
4th Quartile Price 97.5 98.9 100.3 101.3 102.3 * -
Avg. Price Top 5 Trades 97.5 98.9 100.3 101.3 102.3 * -
Standard Deviation 2.1 - - - - * -
     VOLUME OF TRADES (000'S) 368,929.0 245,980.0 1,049,074.9 1,547,910.0 49,500.0 * -
     NUMBER OF TRADES 53 32 67 98 13 * -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 95.1 98.9 100.2 101.2 * - -
Weighted Avg. Price 94.4 98.8 100.2 101.3 * - -
Avg. Price Bottom 5 Trades 93.4 98.8 100.2 101.2 * - -
2nd Quartile Price 94.7 98.8 100.2 101.2 * - -
3rd Quartile Price 94.8 98.8 100.2 101.3 * - -
4th Quartile Price 97.5 98.9 100.2 101.3 * - -
Avg. Price Top 5 Trades 97.3 98.9 100.2 101.3 * - -
Standard Deviation 1.9 - - - * - -
     VOLUME OF TRADES (000'S) 171,930.0 166,900.0 219,100.0 726,900.0 * - -
     NUMBER OF TRADES 14 12 19 47 * - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 97.5 * 100.2 101.2 - * -
Weighted Avg. Price 97.5 * 100.2 101.2 - * -
Avg. Price Bottom 5 Trades 97.5 * 100.2 101.2 - * -
2nd Quartile Price * * 100.2 101.2 - * -
3rd Quartile Price * * 100.2 101.2 - * -
4th Quartile Price * * 100.2 101.2 - * -
Avg. Price Top 5 Trades 97.5 * 100.2 101.2 - * -
Standard Deviation - * - - - * -
     VOLUME OF TRADES (000'S) 19,000.0 * 82,500.0 99,500.0 - * -
     NUMBER OF TRADES 9 * 17 12 - * -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

OCTOBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - * 102.8 * -
Weighted Avg. Price - - - * 102.5 * -
Avg. Price Bottom 5 Trades - - - * 102.8 * -
2nd Quartile Price - - - * * * -
3rd Quartile Price - - - * * * -
4th Quartile Price - - - * * * -
Avg. Price Top 5 Trades - - - * 102.8 * -
Standard Deviation - - - * 0.9 * -
     VOLUME OF TRADES (000'S) - - - * 9,032.8 * -
     NUMBER OF TRADES - - - * 6 * -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - 100.4 102.3 103.7 104.5
Weighted Avg. Price - - - 100.4 102.2 103.6 104.6
Avg. Price Bottom 5 Trades - - - 100.3 101.9 102.5 104.3
2nd Quartile Price - - - 100.3 102.2 103.7 104.2
3rd Quartile Price - - - 100.5 102.4 104.0 104.7
4th Quartile Price - - - 100.7 102.7 104.3 105.2
Avg. Price Top 5 Trades - - - 100.6 102.8 104.7 104.7
Standard Deviation - - - 0.2 0.6 1.1 0.4
     VOLUME OF TRADES (000'S) - - - 20,722.1 99,058.9 126,463.2 18,520.6
     NUMBER OF TRADES - - - 10 15 20 7
NOVEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 89.7 95.7 98.2 99.9 101.3 102.4 103.9
Weighted Avg. Price 90.4 95.7 98.2 100.0 101.3 102.4 104.2
Avg. Price Bottom 5 Trades 81.6 95.6 98.0 99.9 101.2 102.4 103.6
2nd Quartile Price 85.9 95.6 98.1 99.9 101.3 102.4 103.6
3rd Quartile Price 89.5 95.7 98.2 99.9 101.3 102.4 103.6
4th Quartile Price 92.9 95.8 98.2 100.0 101.3 102.4 103.6
Avg. Price Top 5 Trades 93.0 95.8 98.3 100.1 102.1 102.5 104.8
Standard Deviation 3.7 0.1 0.1 - 0.1 - 0.5
     VOLUME OF TRADES (000'S) 10,997,544.5 13,254,326.7 15,686,299.6 30,667,832.4 40,424,091.3 15,937,338.0 16,535,869.8
     NUMBER OF TRADES 427 425 620 1,184 1,030 469 375
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 88.8 95.3 98.2 100.0 101.1 102.1 103.1
Weighted Avg. Price 87.0 95.3 98.2 100.0 101.0 102.1 103.1
Avg. Price Bottom 5 Trades 82.6 95.2 98.1 99.7 100.8 101.7 103.0
2nd Quartile Price 87.3 95.3 98.1 99.9 101.0 101.9 103.1
3rd Quartile Price 90.6 95.3 98.2 100.0 101.0 101.9 103.1
4th Quartile Price 92.4 95.4 98.2 100.0 101.0 102.0 103.1
Avg. Price Top 5 Trades 92.5 95.4 98.3 100.5 102.4 104.7 104.1
Standard Deviation 3.5 0.1 0.1 0.1 0.3 0.7 0.2
     VOLUME OF TRADES (000'S) 2,239,563.3 2,230,067.4 5,082,600.0 9,080,922.7 8,500,282.8 2,440,990.8 2,056,141.9
     NUMBER OF TRADES 104 72 152 347 297 139 141
DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 90.2 95.6 98.1 99.9 101.2 102.4 104.0
Weighted Avg. Price 90.3 95.6 98.1 99.9 101.2 102.4 104.5
Avg. Price Bottom 5 Trades 83.3 95.5 98.0 99.7 101.2 102.4 103.6
2nd Quartile Price 89.4 95.6 98.1 99.9 101.2 102.4 103.6
3rd Quartile Price 89.5 95.6 98.1 99.9 101.2 102.4 103.7
4th Quartile Price 92.8 95.7 98.1 99.9 101.2 102.4 104.8
Avg. Price Top 5 Trades 93.0 95.7 98.6 100.0 101.3 102.4 104.9
Standard Deviation 3.1 0.1 0.2 - - - 0.5
     VOLUME OF TRADES (000'S) 5,292,538.0 6,342,940.0 5,674,443.9 14,960,441.0 21,795,750.0 9,001,621.7 11,219,774.8
     NUMBER OF TRADES 115 109 100 343 231 90 94
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 88.9 95.3 98.1 99.9 100.9 101.9 102.9
Weighted Avg. Price 89.2 95.2 98.1 99.9 100.9 101.9 102.9
Avg. Price Bottom 5 Trades 88.5 95.2 98.0 99.8 100.9 101.8 102.8
2nd Quartile Price 87.5 95.2 98.1 99.8 100.9 101.9 102.9
3rd Quartile Price 87.5 95.3 98.1 99.9 100.9 101.9 102.9
4th Quartile Price 92.4 95.3 98.1 99.9 100.9 101.9 102.9
Avg. Price Top 5 Trades 89.1 95.3 98.2 100.0 101.0 102.8 103.5
Standard Deviation 2.3 0.1 - - 0.1 0.4 0.2
     VOLUME OF TRADES (000'S) 837,000.0 783,000.0 3,647,600.0 5,350,250.0 2,890,025.0 2,438,000.0 1,244,500.0
     NUMBER OF TRADES 9 15 71 164 146 81 83
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * 95.6 98.1 99.8 101.1 102.3 103.7
Weighted Avg. Price * 95.7 98.2 99.8 101.1 102.3 103.7
Avg. Price Bottom 5 Trades * 95.6 97.9 99.7 101.1 102.3 103.6
2nd Quartile Price * 95.6 98.0 99.8 101.1 102.3 103.6
3rd Quartile Price * 95.6 98.0 99.8 101.1 102.4 103.7
4th Quartile Price * 95.7 98.1 99.8 101.1 102.4 103.7
Avg. Price Top 5 Trades * 95.6 98.4 99.8 101.2 102.4 103.8
Standard Deviation * 0.1 0.3 - - - 0.3
     VOLUME OF TRADES (000'S) * 231,000.0 239,993.9 1,262,150.0 618,000.0 136,600.0 525,400.0
     NUMBER OF TRADES * 7 32 145 110 24 19
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE * 95.2 98.0 99.8 100.8 101.8 102.7
Weighted Avg. Price * 95.2 98.1 99.8 100.8 101.8 102.7
Avg. Price Bottom 5 Trades * 95.2 98.0 99.7 100.8 101.7 102.7
2nd Quartile Price * * 98.0 99.8 100.8 101.8 102.7
3rd Quartile Price * * 98.1 99.8 100.8 101.8 102.7
4th Quartile Price * * 98.1 99.8 100.8 101.8 102.8
Avg. Price Top 5 Trades * 95.2 98.1 99.8 100.8 101.8 102.8
Standard Deviation * 0.1 0.1 - - - 0.1
     VOLUME OF TRADES (000'S) * 35,000.0 127,500.0 506,000.0 654,750.0 660,100.0 475,500.0
     NUMBER OF TRADES * 5 23 91 64 43 30
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].